As a consequence of the clarifications given by ISDA Rates Market Infrastructure Group, Eurex Clearing will update its records for trades with Daycount Convention ACT/ACT.ICMA on 21.04.2018 to reflect the market best practice changes regarding the treatment of coupon period length where period start and / or end date falls on a non-business day.
This period length adjustment and interest recalculation will happen automatically for any impacted cashflows settling after the adjustment date.
This change has no impact on member reports and on trade broadcast messages.
Members, which have settled trades whose cashflows are impacted by this change, will be contacted on individual basis.
Any new trades cleared on or after 23 April 2018 will automatically assume the updated logic.
In case of any questions, please do not hesitate to contact our OTCClear Team (phone: +49-69-211 12828 / email: otcclear@eurexclearing.com).
